Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models
Jonas E. Arias, Juan F. Rubio-Ramírez, Minchul Shin
| Year of publication: |
[2021]
|
|---|---|
| Authors: | Arias, Jonas E. ; Rubio-Ramírez, Juan Francisco ; Shin, Minchul |
| Publisher: |
Philadelphia, PA : Research Department, Federal Reserve Bank of Philadelphia |
| Subject: | Vector Autoregressions | Time-Varying Parameters | Stochastic Volatility | Vari-able Ordering | Cholesky Decomposition | Wishart Process | Dynamic Conditional Correla-tion | Out-of-sample Forecasting Evaluation | Volatilität | Volatility | Prognoseverfahren | Forecasting model | VAR-Modell | VAR model | Stochastischer Prozess | Stochastic process | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Schätztheorie | Estimation theory | Multivariate Analyse | Multivariate analysis |
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